Only weeks after rugby league was plunged into crisis, the AFL has been engulfed by its own sexual misconduct scandal with police investigating allegations "of a serious sexual nature" against two St Kilda players - Stephen Milne and Leigh Montagna.

The allegations were made by two women who went with Milne and Montagna to one of the players' homes on Sunday night. Both players are members of the St Kilda team that won the AFL's pre-season premiership on Saturday night and had been drinking with teammates at a hotel after a club "family day" before meeting the women, one of whom knew the players.

St Kilda officials were informed of the allegations late on Monday night and held a media conference yesterday to confirm a police investigation was taking place. The club took the unusual step of naming the players after a television station inaccurately named another Saints player as being involved.

St Kilda president Rod Butterss and chief executive Brian Waldron said the players had proclaimed their innocence and the club would stand behind them while the investigation took place. "They emphatically deny the allegations and are prepared to continue to assist the police in their inquiries," Waldron said.

News of the investigations came on the same day that SBS television program Insight aired allegations by a woman that she had been raped by four men, including a well-known AFL footballer, five years ago.

With police also currently investigating sexual assault allegations against players from both the Bulldogs and Melbourne Storm NRL clubs, the St Kilda allegations come at a delicate time for Australian sport in general.

AFL chief executive officer Andrew Demetriou expressed his disappointment that "charges of a serious criminal nature" had been made against the St Kilda players.

"Any misbehaviour of a sexual nature is abhorrent but we are not aware that that is the case. We wait for the police to complete their investigation," he said.

Demetriou defended the AFL's record on disciplinary matters. He claimed the league had led the way in educating players in areas such as racism, gambling, drugs abuse and sexual harassment.

"We have hundreds of players coming into the system and we aim to have them come out as better citizens and, in the main, they do," he said.

At St Kilda's media conference Waldron read a statement in which he said: "We can confirm police are investigating allegations against Steven Milne and Leigh Montagna last Sunday evening. The allegations are of a serious sexual nature. No charges have been laid."

Waldron said one of the women had been known to at least one of the players. He said she had contacted the players and arranged to meet them and, subsequently, the two women had gone to a player's house. However, Waldron would not confirm whether the players had made sexual contact with the women.

The great underachievers of the AFL, St Kilda have a long history of off-field misbehaviour by players, a culture that president Butterss and coach Grant Thomas have pledged to change. Victory over Geelong in the pre-season grand final was seen as an indication the club was at last on the road to success.

Milne, 24, is an exciting forward, and Montagna, 20, part of a group of talented young players on St Kilda's list. Both were said to be "devastated" by the allegations made against them.